Qu'est-ce que « Instrumented principal component analysis » ?

Instrumented principal component analysis (IPCA) models $r_{i,t+1} = z_{it}^\top\Gamma f_{t+1} + e_{i,t+1}$ with $K$ latent factors $f$ and betas $z^\top\Gamma$ linear in the characteristics (a constant included); $\Gamma$ ($L\times K$) and the factors are estimated by alternating least squares, the factors month by month as cross-sectional regressions of returns on $Z_t\Gamma$ (Kelly, Pruitt and Su, 2019).